The concentrator has nothing to do with this, it is purely a client function. Login scripts are only run by Windows machines during th elogin process, so that means you have to have the VPN up BEFORE the user presses CTRL-ALT-DEL and logs into the NT domain.
On the VPN client, enable the Start Before Logon option, then when the user presses CTRL-ALT-DEL the VPN client window is brought up and they can start the VPN. Once that's started, they then login to the remote NT domain and their login script will run as normal.
Make sure you send down the WINS servers to the client by configuring them in the group on the concentrator. Also make sure Netbios over TCP is checked in the network settings on the PC.